What is the value of a derivative that pays off $100 in six months if the S&P
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What is the value of a derivative that pays off $100 in six months if the S&P 500 index isgreater than 1,000 and zero otherwise. Assume that the current level of the index is 960, the^iSK^free rate is 8% per annum, the dividend yield on the index is 3% per annum, and the volatility of the
. index is 20%.
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